Traders' strategy with price feedbacks in financial market

Takayuki Mizuno; Tohur Nakano; Misako Takayasu; Hideki Takayasu

doi:10.1016/j.physa.2004.06.145

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arXiv · cond-mat/0312547

Traders' strategy with price feedbacks in financial market

Takayuki Mizuno·Tohur Nakano·Misako Takayasu·Hideki Takayasu

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Abstract

We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.

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Takayuki Mizuno, Tohur Nakano, Misako Takayasu, Hideki Takayasu. 2003-12-20. Traders' strategy with price feedbacks in financial market. https://doi.org/10.1016/j.physa.2004.06.145

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